Suppose Rational Expectations Equilibriums (REE) that are inferred at time t materialize at time t+1. This study provides formal theoretical and empirical evidence that performance effects of skewness preference simultaneously can be evidence for demonstrations of full rationality (expertise),...

This study provides formal theoretical evidence for nesting of probability measures that are generated by risk aversion in probability measures that are generated by risk seeking preferences. In presence of highlighted nesting, conditional on independent parameterization of expectations...

With formal theoretical conditions as premise, this study develops a formal empirical structure which facilitates, simultaneously inferences in respect of each of rationality and efficiency of pricing of idiosyncratic risk. Using exactly the same data, the new empirical structure revolves around...

Suppose populations of economic agents that are parameterized by skewness preference. For stated agents, increasing marginal utility for wealth necessarily is facilitated by a risk premium function that only robustly is parameterized with reference to `relative safety', as opposed to `relative...